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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Trade condition؟

Definition 28.3 Markets I: The Ecosystem and Exchange-Traded Markets · الفصل 28 — Reading Market Data

A trade condition (or sale condition) is a code attached to a trade report that says what kind of trade it was and how it may be used: a regular trade; an opening or closing auction print; an odd lot; a trade reported late or out of sequence; a trade at an average or derived price; a correction or a cancellation of an earlier report. The consolidated tapes and each exchange define which conditions update the last price, the high and low, and the volume.

Fifteen trade reports in one stock. The automatic filter removes two, the print at 10.01 and a cancelled trade that looks perfectly normal; the late report at 99.80 passes it. With all fifteen the volume-weighted average price is 98.40; the true figure is near 100. Data: the weekend problem.
Figure 28.2. Fifteen trade reports in one stock. The automatic filter removes two, the print at 10.01 and a cancelled trade that looks perfectly normal; the late report at 99.80 passes it. With all fifteen the volume-weighted average price is 98.40; the true figure is near 100. Data: the weekend problem.
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